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Short‐and long‐run determinants of sovereign debt credit ratings
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Orientador(es)
Resumo(s)
We study the determinants of sovereign debt ratings from the three main rating agencies, for the period 1995–2005.
Using linear and ordered response models, we employ a specification that allows us to distinguish between short- and
long-run effects, on a country’s rating, of macroeconomic and fiscal variables. Changes in GDP per capita, GDP
growth, government debt, and government balance have a short-run impact on a country’s credit rating, while
government effectiveness, external debt, foreign reserves, and default history are important long-run determinants.
Descrição
Palavras-chave
Credit Ratings Sovereign Debt Rating Agencies Random Effects Ordered Probit
Contexto Educativo
Citação
Afonso, António; Pedro Gomes and Philipp Rother. (2011). "Short‐and long‐run determinants of sovereign debt credit ratings". International Journal of Finance & Economics, Vol. 16, No. 1: pp. 1-15.
Editora
John Wiley & Sons Ltd.